期刊名称：Academy of Accounting and Financial Studies Journal
印刷版ISSN：1096-3685
出版年度：2021
卷号：25
期号：3
页码：1-8
语种：English
出版社：The DreamCatchers Group, LLC
摘要：The paper embarks initial investigation on the multi-scale exchange rate exposure of 49 food and beverage corporations in Malaysia from July 2005 till August 2018 using the Maximal Overlap Discrete Wavelet Transformation (MODWT) approach. Wavelet multi-scaling approach is capable to decompose a given time series into several frequency domains and useful in facilitating exchange risk modeling within multiple time horizons. The study finds that the level of exchange rate exposure exhibits non-homogenous trend across scales, where the incidence of exposure tends to be concentrated at the higher time scale (low frequency) for overall period as well as across the sub-periods surrounding the Global financial Crisis 2008. From policy implication, the study suggests that exchange risk measurement must account for different time horizons effect and vigorous risk management strategies should be placed primarily for widened investment interval.
关键词：Currency Exposure;Wavelet Technique;Food and Beverage Industr
